I've seen both, prefer indoors -- lighting, sound, all seem to play off better. Plus, generally all the seats in the house are pretty good, especially when you account for the b-stage, runway thingy bobby.
Don't get me wrong, outdoors is cool too, but unless your seats are solid, you can get lost in the shuffle.
I'd like to see them in a domed stadium sometime -- seems like it would be the best of both worlds.